As was previously speculated, he is, apparently thinking about it.
Without having listened to the audio yet, I’m assuming on an Independent ticket. Not crazy about that idea.
Previously:
Lou Dobbs Quits CNN
Video: Lou Dobbs On O’Reilly, Krauthammer’s Baby Jesus [...] 
Sounds like Dobbs will be making regular appearances:
As for Krauthammer’s “baby Jesus” remark…
In case you missed this, elsewhere, Charles sliced like a…. Krauthammer on Special Report, Monday:
Was that a Freudian slip, or intentional snark? You be the judge.